Information and Expectations in Macroeconomics
Content: This course provides an introduction to the literature on dispersed infromation in Macroeconomics. We will review the basic techniques of signal extraction in Gaussian environments. Then, we will apply them to Beauty Contest models to study how imperfect information can affect welfare. We will study a benchmark version of the Lucas' island model to demonstrate how dispersed signals can be microfounded as competitive prices. Finally we will use our framework of learning from prices to provide simple models of price rigidity, endogenous persistence and sentiments. (Slides available upon request).
I Basics
Gaussian Signal Extraction
Measuring Information Acquisition
Kalman Filter Logic
Endogenous Signals
II Learning from Prices and the Business Cycle
Beauty Contest and Welfare
Endogenous Rigid Prices
Sentiments and Amplification
Forward Looking dynamics